NK225 OPTION MONITOR — DAILY MARKET STRUCTURE 20261006
NK225 OPTION MONITOR — DAILY MARKET STRUCTURE
Today’s Market Judgment
Option Bias
Judgment:Bullish 7/10
Key Points:Model Score +4.5. Explanation included in the main text due to inclusion of comparison standard deviation
Position Structure
Judgment:Unwinding Call / Reallocation toward Put near-delta
Key Points:Deep Put is net-decreasing, 68,000–69,500P being formed
Wall Structure
Judgment:Call unwinding / Put forming over multiple days
Key Points:70,000 Call all-time decline. 65,000 Put today declines
Gamma Environment
Judgment:Suppressed type
Key Points:Positive Gamma maintained, Total GEX expanding
Against the backdrop of unwinding Deep Puts and rising OI center of gravity across multiple days, the provided model has turned bullish. However, for Calls, the focus remains on unwinding existing outstanding amounts rather than additional upside formation, and Puts are increased toward nearby levels while reducing distant legs. ATM IV and Put Skew are also rising, so a downward caution has not disappeared.
1. Overall Market Position
Nikkei 225 Spot
Value:69,946.86
Assessment:JPX Daily Data Basis
Nikkei 225 Futures
Value:70,090
Assessment:Futures price from provided data
ATM Strike
Value:70,000
Assessment:October contract / DTE 4
Call Wall
Value:70,000
Assessment:Major Wall Price
Put Wall
Value:65,000
Assessment:Major Wall Price
Zero Gamma
Value:66,816.76
Assessment:Regime-change Benchmark
Total GEX
Value:+116.66 JPY bn / 1%
Assessment:Baseline for Gamma environment
Spot lies just below 70,000, with futures just above. Both spot and futures exceed Zero Gamma, and Put Walls sit in the downside band −7.26% versus futures. Day-on-day change vs previous business day: spot+1,637.40 JPY, futures+1,440. Daily OI and 19:40 price generation are not from the same transaction time.